Censi, Andrea (2009) On the performance of Kalman filtering with intermittent observations: A geometric approach with fractals. In: American Control Conference, 2009. IEEE , pp. 3806-3812. ISBN 978-1-4244-4523-3 http://resolver.caltech.edu/CaltechAUTHORS:20100507-145010240
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This paper describes the stationary distribution of the a-posteriori covariance matrix of a Kalman filter when the availability of measurements is subject to random phenomena such as lossy network links. If a certain non-overlapping condition is satisfied, the distribution has a fractal nature, and there exists a closed-form expression for the cdf, which is a singular function. If the condition is not satisfied, deciding whether the cdf is singular or not, even in the scalar case, is at least as hard as some open problems in measure and number theory.
|Item Type:||Book Section|
|Additional Information:||© 2009 AACC. Thanks to Ling Shi for the useful discussions and to Na Li for the advice on topology.|
|Usage Policy:||No commercial reproduction, distribution, display or performance rights in this work are provided.|
|Deposited By:||Tony Diaz|
|Deposited On:||16 May 2010 22:06|
|Last Modified:||26 Dec 2012 12:01|
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